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晨星形态策略

晨星形态是看涨的三根K线组合，常在下跌后预示底部形成。它由一根大阴线、一个小型十字或小实体蜡烛以及一根收盘价高于第一根中点的强阳线组成。

测试表明年均收益约为 97%，该策略在加密市场表现最佳。

本策略跟踪连续三根K线。当出现晨星形态时，开多仓，止损设在中间小蜡烛下方。若价格升破确认蜡烛的高点或触发止损则平仓。

由于该形态往往在超卖后迅速反弹，交易一般持续时间较短，抓取初始上涨动力。

细节

  • 入场条件：完整的三根晨星形态。
  • 多/空：仅做多。
  • 退出条件：价格突破确认蜡烛高点或止损。
  • 止损：有，设在中间蜡烛低点下方。
  • 默认值：
    • CandleType = 5 分钟
    • StopLossPercent = 1
  • 过滤条件：
    • 类别: 形态
    • 方向: 多头
    • 指标: K线形态
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Morning Star candle pattern strategy.
/// Morning Star: 1st bearish, 2nd small body (doji), 3rd bullish closing above midpoint of 1st.
/// Evening Star (reverse): 1st bullish, 2nd small body, 3rd bearish closing below midpoint of 1st.
/// Uses SMA for exit signals.
/// </summary>
public class MorningStarStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private ICandleMessage _bar1;
	private ICandleMessage _bar2;
	private int _cooldown;

	/// <summary>
	/// MA Period.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public MorningStarStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for SMA", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bar1 = null;
		_bar2 = null;
		_cooldown = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_bar1 = null;
		_bar2 = null;
		_cooldown = 0;

		var sma = new SimpleMovingAverage { Length = MAPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal smaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			_bar1 = _bar2;
			_bar2 = candle;
			return;
		}

		if (_bar1 != null && _bar2 != null)
		{
			// Morning Star (bullish reversal)
			var firstBearish = _bar1.ClosePrice < _bar1.OpenPrice;
			var firstBody = Math.Abs(_bar1.OpenPrice - _bar1.ClosePrice);
			var secondBody = Math.Abs(_bar2.OpenPrice - _bar2.ClosePrice);
			var secondSmall = firstBody > 0 && secondBody < firstBody * 0.5m;
			var thirdBullish = candle.ClosePrice > candle.OpenPrice;
			var firstMid = (_bar1.HighPrice + _bar1.LowPrice) / 2;
			var morningStar = firstBearish && secondSmall && thirdBullish && candle.ClosePrice > firstMid;

			// Evening Star (bearish reversal)
			var firstBullish = _bar1.ClosePrice > _bar1.OpenPrice;
			var thirdBearish = candle.ClosePrice < candle.OpenPrice;
			var eveningStar = firstBullish && secondSmall && thirdBearish && candle.ClosePrice < firstMid;

			if (Position == 0 && morningStar)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (Position == 0 && eveningStar)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			else if (Position > 0 && candle.ClosePrice < smaValue)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			else if (Position < 0 && candle.ClosePrice > smaValue)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}

		_bar1 = _bar2;
		_bar2 = candle;
	}
}